IE8 feauture not working as expected?

I have noticed it before , it happened again just a few minutes ago.
Smart screen , the new feauture of IE8 , is not working . It can just inform even though it should also stop the bad downloads.

I clicked on a link to a file I suppose to be malicious.
I got a pop-up from IE asking if I want to RUN/SAVE/CANCEL
I choose SAVE
Then , nothing happens (I mean the files doesn't appear to be downloading) and I got a pop-up from SmartScreen that this download has been reported dangerous . As it writes "you are downloading" , I understand it as the something happening at the moment .

Even though I still haven't made my choice wheter I want to continue or not , the antivirus pops-up

Is it not working or I am wrong . I expect it be just like Firefox or Chrome - totally block the download or page/content , then ask . Not when the download has been performed ...

What to report ? This is not related to MSE nor any other MS antivirus product ? It is actually detected from the Smart Screen filter of IE8 , but it is not actually blocked . This is what I am talking about

But - Trying this - I just web-access protection stopped .
I click on the link , choose "Save" and the Smart ScreenFilter pops-up.
Wait a second and NOD32 pops-up with a warning from the file-system protection that a mal file in the IE cache has been found